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GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
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Cited by:
- Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
- Peter C. B. Phillips & Jun Yu, 2009.
"Simulation-Based Estimation of Contingent-Claims Prices,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
- Peter C.B.Phillips & Jun Yu, "undated". "Simulation-based Estimation of Contingent Claims Prices," Working Papers CoFie-05-2008, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Jun Yu, 2008. "Simulation-based Estimation of Contingent-claims Prices," Finance Working Papers 22473, East Asian Bureau of Economic Research.
- Koenker, Roger & Machado, Jose A. F., 1999. "GMM inference when the number of moment conditions is large," Journal of Econometrics, Elsevier, vol. 93(2), pages 327-344, December.
- Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility,"
Papers
95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gordon R. Richards, 2004. "A fractal forecasting model for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 586-601.
- Laurini Márcio Poletti, 2013.
"A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models,"
Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
- Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
- Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2008. "Time-Deformation Modeling Of Stock Returns Directed By Duration Processes," Working Papers 08010, University of Waterloo, Department of Economics.
- Charles S. Bos, 2011. "Relating Stochastic Volatility Estimation Methods," Tinbergen Institute Discussion Papers 11-049/4, Tinbergen Institute.
- Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus & Denmark, 2005.
"Variation, jumps, market frictions and high frequency data in financial econometrics,"
Economics Series Working Papers
240, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
- Dobbelaere, Sabien & Mairesse, Jacques, 2018.
"Comparing micro-evidence on rent sharing from two different econometric models,"
Labour Economics, Elsevier, vol. 52(C), pages 18-26.
- Dobbelaere, Sabien & Mairesse, Jacques, 2017. "Comparing Micro-Evidence on Rent Sharing from Two Different Econometric Models," IZA Discussion Papers 11156, Institute of Labor Economics (IZA).
- Sabien (S.) Dobbelaere & Jacques Mairesse, 2017. "Comparing micro-evidence on rent sharing from two different econometric models," Tinbergen Institute Discussion Papers 17-112/V, Tinbergen Institute.
- Andersen, Torben G & Sorensen, Bent E, 1996.
"GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
- Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen, "undated". "EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Computing in Economics and Finance 1997 6, Society for Computational Economics.
- Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.
- Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005.
"External Habit and the Cyclicality of Expected Stock Returns,"
The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
- Thomas Tallarini & Harold Zhang, "undated". "External Habit and the Cyclicality of Expected Stock Returns," GSIA Working Papers 1997-26, Carnegie Mellon University, Tepper School of Business.
- Thomas D. Tallarini & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
- Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society.
- Ahn, Seung C. & Perez, M. Fabricio, 2010. "GMM estimation of the number of latent factors: With application to international stock markets," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 783-802, September.
- David Roodman, 2009.
"A Note on the Theme of Too Many Instruments,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(1), pages 135-158, February.
- David Roodman, 2007. "A Note on the Theme of Too Many Instruments," Working Papers 125, Center for Global Development.
- Paolo Girardello & Orietta Nicolis & Giovanni Tondini, 2003. "Comparing Conditional Variance Models: Theory and Empirical Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 177-206, September.
- Luwen Zhang & Li Wang, 2023. "Generalized Method of Moments Estimation of Realized Stochastic Volatility Model," JRFM, MDPI, vol. 16(8), pages 1-12, August.
- Casas, Isabel & Gao, Jiti, 2008.
"Econometric estimation in long-range dependent volatility models: Theory and practice,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
- Casas, Isabel & Gao, Jiti, 2006. "Econometric estimation in long-range dependent volatility models: Theory and practice," MPRA Paper 11981, University Library of Munich, Germany, revised Aug 2007.
- Đặng, Rey & Houanti, L’Hocine & Reddy, Krishna & Simioni, Michel, 2020. "Does board gender diversity influence firm profitability? A control function approach," Economic Modelling, Elsevier, vol. 90(C), pages 168-181.
- Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
- Jun Yu & Peter C. B. Phillips, 2001. "A Gaussian approach for continuous time models of the short-term interest rate," Econometrics Journal, Royal Economic Society, vol. 4(2), pages 1-3.
- Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2024. "Maximum likelihood estimation of latent Markov models using closed-form approximations," Journal of Econometrics, Elsevier, vol. 240(2).
- So Im, Kyung & Ahn, Seung C. & Schmidt, Peter & Wooldridge, Jeffrey M., 1999. "Efficient estimation of panel data models with strictly exogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 93(1), pages 177-201, November.
- Heng, Dyna, 2011. "Capital flows and real exchange rate: does financial development matter?," MPRA Paper 48553, University Library of Munich, Germany, revised May 2012.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Travis Sapp, 2009. "Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 303-326, November.
- Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997.
"Estimation of stochastic volatility models with diagnostics,"
Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
- Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
- Salvatore Capasso & Maria Rosario Carillo & Rita De Siano, 2012.
"Migration Flows, Structural Change And Growth Convergence: A Panel Data Analysis Of The Italian Regions,"
Manchester School, University of Manchester, vol. 80(4), pages 468-498, July.
- Salvatore Capasso & Maria Rosaria Carillo & Rita De Siano, 2011. "Migration flows, structural change, and growth convergence: A panel data analysis of Italian regions," Discussion Papers 7_2011, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- David T. Frazier & Ruben Loaiza-Maya & Gael M. Martin, 2021.
"Variational Bayes in State Space Models: Inferential and Predictive Accuracy,"
Papers
2106.12262, arXiv.org, revised Feb 2022.
- David T. Frazier & Gael M. Martin & Ruben Loaiza-Maya, 2022. "Variational Bayes in State Space Models: Inferential and Predictive Accuracy," Monash Econometrics and Business Statistics Working Papers 1/22, Monash University, Department of Econometrics and Business Statistics.
- Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
- Qing Li, 2014. "Identifiability of mean-reverting measurement error with instrumental variable," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(2), pages 118-129, May.
- Kawakatsu, Hiroyuki, 2007. "Specification and estimation of discrete time quadratic stochastic volatility models," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 424-442, June.
- Bowsher, Clive G., 2002. "On testing overidentifying restrictions in dynamic panel data models," Economics Letters, Elsevier, vol. 77(2), pages 211-220, October.
- Agnello, L. & Furceri, D. & R.M, Sousa., 2011.
"Fiscal Policy Discretion, Private Spending, and Crisis Episodes,"
Working papers
354, Banque de France.
- Luca Agnello & Davide Furceri & Ricardo M. Sousa, 2011. "Fiscal Policy Discretion, Private Spending, and Crisis Episodes," NIPE Working Papers 31/2011, NIPE - Universidade do Minho.
- Joaquim Ramalho, 2003. "Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures and Instrumental Variables," Economics Working Papers 9_2003, University of Évora, Department of Economics (Portugal).
- Liesenfeld, Roman, 2001. "A generalized bivariate mixture model for stock price volatility and trading volume," Journal of Econometrics, Elsevier, vol. 104(1), pages 141-178, August.
- Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
- Brey, Björn & Hertweck, Matthias S., 2020.
"The Extension Of Short-Time Work Schemes During The Great Recession: A Story Of Success?,"
Macroeconomic Dynamics, Cambridge University Press, vol. 24(2), pages 360-402, March.
- Björn Brey & Matthias S. Hertweck, 2016. "The extension of short-time work schemes during the Great Recession: A story of success?," Working Paper Series of the Department of Economics, University of Konstanz 2016-05, Department of Economics, University of Konstanz.
- Hertweck, Matthias Sebastian & Brey, Björn, 2016. "The Extension of Short-time Work Schemes during the Great Recession: A Story of Success?," VfS Annual Conference 2016 (Augsburg): Demographic Change 145795, Verein für Socialpolitik / German Economic Association.
- Gudkov, Nikolay & Ignatieva, Katja, 2021. "Electricity price modelling with stochastic volatility and jumps: An empirical investigation," Energy Economics, Elsevier, vol. 98(C).
- Anatolyev, Stanislav & Gospodinov, Nikolay, 2011.
"Specification Testing In Models With Many Instruments,"
Econometric Theory, Cambridge University Press, vol. 27(2), pages 427-441, April.
- Stanislav Anatolyev & Nikolay Gospodinov, 2008. "Specification Testing in Models with Many Instruments," Working Papers w0124, New Economic School (NES).
- Stanislav Anatolyev & Nikolay Gospodinov, 2008. "Specification Testing in Models with Many Instruments," Working Papers w0124, Center for Economic and Financial Research (CEFIR).
- Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002.
"Parametric and Nonparametric Volatility Measurement,"
NBER Technical Working Papers
0279, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Lux, Thomas & Morales-Arias, Leonardo, 2010. "Relative forecasting performance of volatility models: Monte Carlo evidence," Kiel Working Papers 1582, Kiel Institute for the World Economy (IfW Kiel).
- Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006.
"A class of nonlinear stochastic volatility models and its implications for pricing currency options,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
- Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
- Meddahi, N., 2001.
"An Eigenfunction Approach for Volatility Modeling,"
Cahiers de recherche
2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
- MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
- Junji Shimada & Yoshihiko Tsukuda, 2004. "Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space," Econometric Society 2004 Far Eastern Meetings 611, Econometric Society.
- Jun Yu & Renate Meyer, 2006.
"Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison,"
Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 361-384.
- Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics.
- Yijie Peng & Michael C. Fu & Jian-Qiang Hu, 2016. "Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1393-1411, September.
- Bruno Feunou & Roméo Tédongap, 2012.
"A Stochastic Volatility Model With Conditional Skewness,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 576-591, July.
- Bruno Feunou & Roméo Tedongap, 2011. "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers 11-20, Bank of Canada.
- Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
- Perugini, Cristiano & Hölscher, Jens & Collie, Simon, 2013. "Inequality, credit expansion and financial crises," MPRA Paper 51336, University Library of Munich, Germany.
- Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
- Eduardo Ramos-Pérez & Pablo J. Alonso-González & José Javier Núñez-Velázquez, 2021. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Mathematics, MDPI, vol. 9(15), pages 1-18, July.
- Roman Liesenfeld & Robert C. Jung, 2000.
"Stochastic volatility models: conditional normality versus heavy-tailed distributions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 137-160.
- Liesenfeld, Roman & Jung, Robert C., 1997. "Stochastic volatility models: Conditional normality versus heavy tailed distributions," Tübinger Diskussionsbeiträge 103, University of Tübingen, School of Business and Economics.
- N. Balakrishna & Bovas Abraham & Ranjini Sivakumar, 2006. "Gamma stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(3), pages 153-171.
- Zhao, Zhibiao, 2011. "Nonparametric model validations for hidden Markov models with applications in financial econometrics," Journal of Econometrics, Elsevier, vol. 162(2), pages 225-239, June.
- Laurent-Emmanuel Calvet & Veronika Czellar, 2011.
"State-Observation Sampling and the Econometrics of Learning Models,"
Working Papers
hal-00625500, HAL.
- Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," HEC Research Papers Series 947, HEC Paris.
- Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
- Ramdan Dridi & Eric Renault, 2000.
"Semi-Parametric Indirect Inference,"
STICERD - Econometrics Paper Series
392, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Dridi, Ramdan & Renault, Eric, 2000. "Semi-parametric indirect inference," LSE Research Online Documents on Economics 6864, London School of Economics and Political Science, LSE Library.
- Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012.
"Information criteria for impulse response function matching estimation of DSGE models,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 499-518.
- Alastair R. Hall & Atsushi Inoue & James M. Nason & Barbara Rossi, 2007. "Information criteria for impulse response function matching estimation of DSGE models," FRB Atlanta Working Paper 2007-10, Federal Reserve Bank of Atlanta.
- Alastair Hall & Atsushi & James M Nason & Barbara Rossi, 2009. "Information Criteria For Impulse Response Function Matching Estimation Of Dsge Models," Working Papers 09-09, Duke University, Department of Economics.
- Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The University of Manchester.
- Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics.
- Alastair Hall & Atsushi Inoue & James M. Nason & Barbara Rossi, 2010. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 10-28, Duke University, Department of Economics.
- Carrasco, Marine & Tchuente, Guy, 2015.
"Regularized LIML for many instruments,"
Journal of Econometrics, Elsevier, vol. 186(2), pages 427-442.
- Guy Tchuente & Marine Carrasco, 2013. "Regularized LIML for many instruments," CIRANO Working Papers 2013s-20, CIRANO.
- Marine Carrasco & Guy Tchuente, 2015. "Regularized LIML for many instruments," Studies in Economics 1515, School of Economics, University of Kent.
- Daniel Graham & Kurt Dender, 2011.
"Estimating the agglomeration benefits of transport investments: some tests for stability,"
Transportation, Springer, vol. 38(3), pages 409-426, May.
- Daniel J. Graham & Kurt van Dender, 2009. "Estimating the Agglomeration Benefits of Transport Investments: Some Tests for Stability," OECD/ITF Joint Transport Research Centre Discussion Papers 2009/32, OECD Publishing.
- Anders Johansson, 2009. "Stochastic volatility and time-varying country risk in emerging markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 337-363.
- Maxime Fajeau, 2021.
"Too much finance or too many weak instruments?,"
International Economics, CEPII research center, issue 165, pages 14-36.
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- Julia Cage, 2009.
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- Julia Cage, 2009. "Asymmetric information, rent extraction and aid efficiency," PSE Working Papers halshs-00575055, HAL.
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- Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS 3664, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- M. Hakan Eratalay, 2016.
"Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study,"
International Econometric Review (IER),
Econometric Research Association, vol. 8(2), pages 19-52, September.
- Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Department of Economics Working Paper Series Ec-04/12, European University at St. Petersburg, Department of Economics.
- John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
- Dobbelaere, Sabien & Kiyota, Kozo & Mairesse, Jacques, 2015.
"Product and labor market imperfections and scale economies: Micro-evidence on France, Japan and the Netherlands,"
Journal of Comparative Economics, Elsevier, vol. 43(2), pages 290-322.
- Sabien DOBBELAERE & KIYOTA Kozo & Jacques MAIRESSE, 2012. "Product and Labor Market Imperfections and Scale Economies: Micro-evidence on France, Japan and the Netherlands," Discussion papers 12020, Research Institute of Economy, Trade and Industry (RIETI).
- Dobbelaere, Sabien & Kiyota, Kozo & Mairesse, Jacques, 2013. "Product and Labor Market Imperfections and Scale Economies: Micro-Evidence on France, Japan and the Netherlands," IZA Discussion Papers 7253, Institute of Labor Economics (IZA).
- Sabien Dobbelaere & Kozo Kiyota & Jacques Mairesse, 2013. "Product and Labor Market Imperfections and Scale Economies: Micro-Evidence on France, Japan and the Netherlands," Tinbergen Institute Discussion Papers 13-037/VII, Tinbergen Institute.
- Sabien Dobbelaere & Kozo Kiyota & Jacques Mairesse, 2013. "Product and labor market imperfections and scale economies: Micro-evidence on France, Japan and the Netherlands," NBER Working Papers 19059, National Bureau of Economic Research, Inc.
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"Exit dynamics of start-up firms. Does profit matter?,"
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706, Statistics Norway, Research Department.
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"A Consistent Method for the Selection of Relevant Instruments,"
Econometric Reviews, Taylor & Francis Journals, vol. 22(3), pages 269-287, January.
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- Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
- van der Sluis Pieter J., 1997.
"EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(3), pages 1-20, October.
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"The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 194-210, April.
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- Fabrice Murtin & Romain Wacziarg, 2014.
"The democratic transition,"
Journal of Economic Growth, Springer, vol. 19(2), pages 141-181, June.
- Wacziarg, Romain & Murtin, Fabrice, 2011. "The Democratic Transition," CEPR Discussion Papers 8599, C.E.P.R. Discussion Papers.
- Fabrice Murtin & Romain Wacziarg, 2011. "The Democratic Transition," NBER Working Papers 17432, National Bureau of Economic Research, Inc.
- Fabrice Murtin & Romain Wacziarg, 2014. "The democratic transition," Post-Print hal-03460288, HAL.
- Luca Agnello & Davide Furceri & Ricardo Sousa, 2013. "Discretionary Government Consumption, Private Domestic Demand, and Crisis Episodes," Open Economies Review, Springer, vol. 24(1), pages 79-100, February.
- M. Hakan Eratalay, 2016.
"Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study,"
International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
- Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Department of Economics Working Paper Series 2012/04, European University at St. Petersburg, Department of Economics.
- Holly, Alberto & Monfort, Alain & Rockinger, Michael, 2011.
"Fourth order pseudo maximum likelihood methods,"
Journal of Econometrics, Elsevier, vol. 162(2), pages 278-293, June.
- Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2009. "Fourth Order Pseudo Maximum Likelihood Methods," Swiss Finance Institute Research Paper Series 09-23, Swiss Finance Institute.
- Alberto Holly & Alain Monfort & Michael Rockinger, 2011. "Fourth order pseudo maximum likelihood methods," Post-Print hal-00815562, HAL.
- Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2011. "Fourth Order Pseudo Maximum Likelihood Methods," Working Papers 2011-05, Center for Research in Economics and Statistics.
- Mi Lin & Yum K. Kwan, 2011.
"Sectoral Location of FDI in China,"
The World Economy, Wiley Blackwell, vol. 34, pages 1181-1198, July.
- Lin, Mi & Kwan, Yum K., 2010. "Sectoral Location of FDI in China," MPRA Paper 27088, University Library of Munich, Germany.
- Yu, Jun, 2005.
"On leverage in a stochastic volatility model,"
Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August.
- Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
- Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Working Papers 13-2004, Singapore Management University, School of Economics.
- Jun Yu, 2004. "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 497, Econometric Society.
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- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
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- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
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- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
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- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
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- repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS